Investment thesis
Portfolio optimisation — economic intuition. Given a universe of imperfectly-correlated return streams, convex optimisation (Markowitz, risk-parity, recursive decay) produces weights that dominate naive equal-weight on a risk-adjusted basis. The edge is not in alpha discovery but in the disciplined combination of existing signals — consistent with institutional multi-manager allocation.
Risk-adjusted performance — live track record
Forward-tested daily against live market data. Metrics derived from end-of-day portfolio marks; methodology documented on the Due Diligence and About pages.
| Return | Value | Risk-adjusted | Value | |
|---|---|---|---|---|
| Current portfolio worth | $8107.17 | Sharpe ratio | -0.25 | |
| Total return | -18.93% | Sortino ratio | -0.24 | |
| CAGR | -28.44% | Calmar ratio | -0.62 | |
| Volatility (annualised) | 57.98% | Profit factor | 0.95 | |
| Days live | 168 | Maximum drawdown | -45.92% |
Process consistency
| Positive months | 37.5% |
| Best month | 34.96% |
| Worst month | -20.51% |
| Recovery from max drawdown | still underwater |
Market independence and alpha
Measured against every benchmark over the strategy’s own live window. Alpha is annualised Jensen’s alpha (the return not explained by benchmark exposure, assuming a zero risk-free rate); t is its t-statistic.
| Benchmark | Correlation | 90-day rolling correlation | Beta | Alpha (ann.) | t |
|---|---|---|---|---|---|
| SPY | 0.77 | 0.80 | 3.45 | -82.70% | -1.82 n.s. |
| QQQ | 0.93 | 0.98 | 2.61 | -67.29% | -2.66 |
| FTWD | 0.60 | 0.74 | 3.39 | -87.13% | -1.52 n.s. |
| GLD | 0.26 | 0.09 | 0.68 | -5.32% | -0.08 n.s. |
| BTC | 0.19 | 0.12 | 0.26 | -20.88% | -0.30 n.s. |
Correlation materially below 1.0 to all benchmarks indicates returns that are not a re-expression of long equity beta — a strategy tracking one index closely while showing low correlation to another is not diversifying, only rotating.
Closest benchmark: QQQ (correlation 0.93). Alpha against it is -67.29% annualised, statistically significant at |t| ≥ 2.
Trading activity
Ratios computed over calendar days understate strategies that hold cash and overstate those that simply trade rarely, so exposure is disclosed directly.
| Lifetime executed trades | 3 |
| Days with no position change | 38.9% |
| Sortino over active days only | -0.30 |
Note: with 3 executed trades this track record reflects a held position, not an active strategy. Its risk-adjusted ratios are driven mainly by the underlying asset’s path and time out of the market.
Equity curve
Live track record — forward-tested performance from the strategy's production start date.
Drawdown profile
Underwater curve — percentage below the running high-water mark. Institutional allocators read this before the equity curve.
Current holdings
| Symbol | Quantity |
|---|---|
| TQQQ | 155.1611 |
| USD | 0.0000 |
Research & documentation
- Strategy deep-dive: RecursiveDecayHarvestBot: strategy deep-dive & live performance
- Reference implementation:
tradingbot/recursivedecayharvestbot.py - Framework: python_tradingbot_framework (open source, fully inspectable)
Related strategies
Other strategies in the Portfolio optimisation family:
- SharpePortfolioOptWeeklyBot · research note- SynthesizedHyperConvexityBot · research note Or view the full strategy roster.
For professional investors
Request the investor deck, DDQ, and extended analytics. Firm-gated and reviewed manually.
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